KitchenSinkAnalyzer.py

import backtrader as bt
from collections import defaultdict


class KitchenSinkAnalyzer(bt.Analyzer):
    params = dict(sma_period=10, slow_sma_period=30, rsi_period=14, mean_period=10, moment_period=12, percent_period=15)

    def start(self):
        self.smas = {data: bt.indicators.SMA(data, period=self.p.sma_period)
                     for data in self.datas}
        self.slow_smas = {data: bt.indicators.SMA(data, period=self.p.slow_sma_period)
                          for data in self.datas}
        self.rsis = {data: bt.indicators.RelativeStrengthIndex(data, period=self.p.rsi_period)
                     for data in self.datas}
        self.mean_deviations = {data: bt.indicators.StandardDeviation(data, period=self.p.mean_period)
                                for data in self.datas}
        self.momentums = {data: bt.indicators.Momentum(data, period=self.p.moment_period)
                          for data in self.datas}

        self.moms_oscs = {data: bt.indicators.MomentumOscillator(data, period=self.p.moment_period)
                          for data in self.datas}
        self.percent_change = {data: bt.indicators.PercentChange(data, period=self.p.percent_period)
                               for data in self.datas}

        self.downdays = {data: bt.indicators.DownDay(data, period=self.p.sma_period)
                         for data in self.datas}
        self.downmoves = {data: bt.indicators.DownMove(data)
                          for data in self.datas}

        self.updays = {data: bt.indicators.UpDay(data, period=self.p.sma_period)
                       for data in self.datas}
        self.upmoves = {data: bt.indicators.UpMove(data)
                        for data in self.datas}

        self.plusdi = {data: bt.indicators.PlusDirectionalIndicator(data, period=self.p.rsi_period)
                       for data in self.datas}
        self.rateofchange = {data: bt.indicators.RateOfChange(data)
                             for data in self.datas}
        self.rmis = {data: bt.indicators.RelativeMomentumIndex(data)
                     for data in self.datas}
        self.trix = {data: bt.indicators.Trix(data)
                     for data in self.datas}

        self.rets['symbols'] = defaultdict(dict)

    def stop(self):
        self.rets['smas'] = list()
        symbols = self.rets['symbols']
        for data, sma in self.smas.items():
            status = 'SMA_SIDEWAYS'
            symbol = symbols[data._name]
            if data > sma:  # if data.close[0] > sma[0]
                status = 'SMA_OVER'
            else:
                status = 'SMA_UNDER'
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            node = dt, data._name, status, sma[0], data.close[0]
            self.rets['smas'].append(node)
            symbol['sma_status'] = status
            symbol['sma_value'] = sma[0]

        self.rets['sma_slows'] = list()
        for data, sma in self.slow_smas.items():
            status = 'SMA_SIDEWAYS'
            symbol = symbols[data._name]
            if data > sma:  # if data.close[0] > sma[0]
                status = 'SMA_OVER'
            else:
                status = 'SMA_UNDER'
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            node = dt, data._name, status, sma[0], data.close[0]
            self.rets['sma_slows'].append(node)
            symbol['sma_slows_status'] = status
            symbol['sma_slows_value'] = sma[0]

        self.rets['rsis'] = list()
        for data, rsi in self.rsis.items():
            status = 'RSI_EVEN'
            symbol = symbols[data._name]
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))

            if rsi >= 65:  # if data.close[0] > rsi[0]
                status = 'RSI_OVER'
            elif rsi <= 35:
                status = 'RSI_UNDER'

            node = dt, data._name, status, rsi[0]
            symbol['rsi_status'] = status
            symbol['rsi_value'] = rsi[0]
            self.rets['rsis'].append(node)

        self.rets['mean_deviations'] = list()
        for data, md in self.mean_deviations.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]

            status = 'STD_DEVIATION'
            node = (dt, data._name, status, md[0])

            symbol['mean_deviation_status'] = status
            symbol['mean_deviation_value'] = md[0]
            self.rets['mean_deviations'].append(node)

        self.rets['momentums'] = list()
        for data, ms in self.momentums.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]

            status = 'MOMENTUM'
            node = (dt, data._name, status, ms[0])
            symbol['momentums_status'] = status
            symbol['momentums_value'] = ms[0]
            self.rets['momentums'].append(node)

        self.rets['moms_ocsc'] = list()
        for data, mo in self.moms_oscs.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'MOMENTUM_OSCILATORS'
            node = (dt, data._name, status, mo[0])
            symbol['moms_ocsc_status'] = status
            symbol['moms_ocsc_value'] = mo[0]
            self.rets['moms_ocsc'].append(node)

        self.rets['percent_change'] = list()
        for data, pc in self.percent_change.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'PERCENT_CHANGE'

            node = (dt, data._name, status, pc[0])
            symbol['percent_change_status'] = status
            symbol['percent_change_value'] = pc[0]
            self.rets['percent_change'].append(node)

        self.rets['downdays'] = list()
        for data, pc in self.downdays.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'DOWNDAYS'

            node = (dt, data._name, status, pc[0])
            symbol['downdays_status'] = status
            symbol['downdays_value'] = pc[0]
            self.rets['downdays'].append(node)

        self.rets['downmoves'] = list()
        for data, pc in self.downmoves.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'DOWNMOVES'

            node = (dt, data._name, status, pc[0])
            symbol['downmoves_status'] = status
            symbol['downmoves_value'] = pc[0]
            self.rets['downmoves'].append(node)

        self.rets['updays'] = list()
        for data, pc in self.updays.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'UPDAYS'

            node = (dt, data._name, status, pc[0])
            symbol['updays_status'] = status
            symbol['updays_value'] = pc[0]
            self.rets['updays'].append(node)

        self.rets['upmoves'] = list()
        for data, pc in self.upmoves.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'UPMOVES'

            node = (dt, data._name, status, pc[0])
            symbol['upmoves_status'] = status
            symbol['upmoves_value'] = pc[0]
            self.rets['upmoves'].append(node)

        self.rets['plusdi'] = list()
        for data, pc in self.plusdi.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'plusdi'

            node = (dt, data._name, status, pc[0])
            symbol['plusdi_status'] = status
            symbol['plusdi_value'] = pc[0]
            self.rets['plusdi'].append(node)

        self.rets['rateofchange'] = list()
        for data, pc in self.rateofchange.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'rateofchange'

            node = (dt, data._name, status, pc[0])
            symbol['rateofchange_status'] = status
            symbol['rateofchange_value'] = pc[0]
            self.rets['rateofchange'].append(node)

        self.rets['rmis'] = list()
        for data, pc in self.rmis.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'rmis'

            node = (dt, data._name, status, pc[0])
            symbol['rmis_status'] = status
            symbol['rmis_value'] = pc[0]
            self.rets['rmis'].append(node)

        self.rets['trix'] = list()
        for data, pc in self.trix.items():
            dt = '{}:{}'.format(data.datetime.date(0), data.datetime.time(0))
            symbol = symbols[data._name]
            status = 'trix'

            node = (dt, data._name, status, pc[0])
            symbol['trix_status'] = status
            symbol['trix_value'] = pc[0]
            self.rets['trix'].append(node)